About Us

Lynncroft is a differentiated, discretionary global alternative asset manager.

We partner with our investors to deliver high risk adjusted rates of return with less volatility and low correlation to traditional assets and other hedge fund strategies.  Our strategy is centered on maintaing exceptionally high levels of liquidity.

Lynncroft employs a risk-based approach to portfolio construction. We invest exclusively in liquid options and swaptions across FX, commodities, rates, equities, and credit. Using options that have a defined maximum possible loss, our portfolio has many of the attributes of principal protected investments. Further, we limit the maximum possible fund drawdown in AUM at all times. Each individual, asymmetric position has a strictly limited risk-weighting, ensuring that no single directional view can have a large adverse impact on the portfolio.

Being long volatility is central to our structuring and, therefore, Lynncroft tends to be negatively correlated to equity and credit market (public and private) beta in risk-off environments. Lynncroft is an absolute return strategy, so we aim to generate exceptional returns in illiquid and volatile markets and acceptable returns in low volatility environments. We use options for risk management and to generate additional alpha by exploiting mispricings in volatility markets.

We see tremendous opportunity for Lynncroft’s strategy. Options markets are used primarily by hedgers and systematic sellers of volatility seeking yield enhancement, providing ample supply. Since bank dealer desks have significantly lower VaR limits as a result of recent regulatory changes (e.g. The Volker Rule, Dodd-Frank, Basel III), supply/demand imbalances occur more frequently in the global volatility markets than they did historically, and Lynncroft is uniquely positioned to take advantage of such dislocations across asset classes.

Lynncroft employs leverage from convexity in options, not from prime brokers. Therefore, Lynncroft does not have funding risk or borrow risk like the majority of hedge funds.